This paper explores how foreign ownership and participation affect the volatility dynamics of individual stocks in Indonesia. After controlling for size and turnover, we show that stocks with high foreign holdings have greater volatility persistence and lead other stocks in the daily volatility...

This study documents a negative relationship between foreign ownership and future volatility of Indonesian stocks. This calming effect of foreign ownership is present before, during, and after the Asian financial crisis. It is independent of gross and net foreign trading and the stock's...

Bekaert, Harvey, and Ng (2005a) define contagion as quot;correlation over and above what one would expect from economic fundamentalsquot;. Based on a two-factor asset pricing specification to model fundamentally-driven linkages between markets, they define contagion as correlation among the...

The need to develop securities market has, following the recent international financial crises increasingly attracted the attention of national and international policy makers. Never before have developed and developing countries shared such a strong intertest in ensuring the stable growth of...

This paper documents a strong contemporaneous relationship between foreign equity trading and market volatility in Indonesia and Thailand. Although foreign selling accounts for only a small portion of daily trading, it has the highest explanatory power for market volatility in both countries....

In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this paper finds that emerging stock markets as a group experienced a sharp increase in...

Kaminsky and Schmukler examine the short- and long-run effects of financial liberalization on capital markets. To do so, they construct a new comprehensive chronology of financial liberalization in 28 developed and emerging economies since 1973. The authors also construct an algorithm to...

The behavior of capital flows during the onset of a currency crisis has been an important question in recent economic literature. The apparent overreaction of financial markets has been pointed out, by several economists, as one of the major factors contributing to the magnification of the...

The paper provides a new perspective on the roles of foreign equity flows in the Asian financial crises of the past two years. It desegregates foreign equity flows to Asian emerging markets over the past several years by type of equity investment and by type of investor, showing that foreign...